You can get that info through jailbreak (as was mentioned already) with LockInfo (and probably others) I believe.
For stock iOS, though, no you will not see it. You would have to unlock to see it. Wish there was something like this sometimes, though, like up in the status bar.
Yeah, . . I think the iPhone's "message delivery" and notifications is a bit on the weak side and definitely could use some improvement. Coming from a Blackberry, this is the ONLY thing I miss about the BB. I don't even miss BBM